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Time diversification : perspectives from the economic index of riskness
Lu, Richard; Yang, Chen-Chen; Wong, Wing Keung - In: Annals of financial economics 13 (2018) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011958474
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
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A general optimal investment model in the presence of background risk
Alghalith, Moawia; Guo, Xu; Wong, Wing Keung; Zhu, Lixing - In: Annals of financial economics 11 (2016) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10011503987
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The maximum-return-and-minimum-volatility effect : evidence from choosing risky and riskless assets to form a portfolio
Lv, Zhihui; Chu, Amanda M. Y.; Wong, Wing Keung; … - In: Risk management : an international journal 23 (2021) 1/2, pp. 97-122
Persistent link: https://www.econbiz.de/10012544573
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Modeling of stock returns in continuous vis-à-vis discrete time is equivalent, respectively, to the conditioning of stock returns on a random walk process for trade imbalances vis-...
Obrimah, Oghenovo Adewale; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10013262988
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Mean-variance optimization for asset allocation
Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, … - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
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Farinelli and Tibiletti ratio and stochastic dominance
Guo, Xu; Niu, Cuizhen; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 3, pp. 201-213
Persistent link: https://www.econbiz.de/10012063313
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New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management
Chan, Raymond H.; Clark, Ephraim; Guo, Xu; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 2, pp. 108-132
Persistent link: https://www.econbiz.de/10012297611
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Arbitrage opportunities, efficiency, and the role of risk preferences in the Hong Kong property market
Tsang, Chun Kei; Wong, Wing Keung; Horowitz, Ira - In: Studies in economics and finance 33 (2016) 4, pp. 735-754
Persistent link: https://www.econbiz.de/10011722582